XEA - De Beleggersadviseur

Guernsey, 17 June 2011 - Volta Finance Limited (the "Company" or "Volta Finance" or "Volta") has published its monthly report. The full report is attached to this release and is available on Volta Finance Limited's financial website (www.voltafinance.com).
Gross Asset Value
At 31.05.11 At 29.04.11
Gross Asset Value (GAV / €) 152,827,868 143,302,466
GAV per share (€) 4.96 4.65

At the end of May 2011, the Gross Asset Value (the "GAV") of Volta Finance Limited (the "Company", "Volta Finance" or "Volta") was €152.8m or €4.96 per share, an increase of €0.31 per share from €4.65 post dividend GAV per share at the end of April 2011.

The May mark-to-market variations* of Volta Finance's asset classes have been: +2.8% for ABS investments, +0.2% for mezzanine of CDO investments, +8.2% for residuals of CDO investments and +3.7% for Corporate Credit investments. The increase of the GAV in May reflected the general decrease in discount margins for structured finance assets that occurred after the March tensions as well as the good performance of Volta's assets in terms of ongoing payments.

Volta's assets have generated the equivalent of €2.2m of cash flows in May 2011 (non-euro amounts converted into euro using end-of-month cross currency rates and excluding principal payments from debt assets) bringing the total cash generated during the last six months to €11.9m. This amount can be compared with the amount of €9.7m for the previous six-month period ended in November 2010 (the most recent period which is comparable considering the seasonality of payments).

In May, the Company bought 3 assets for the equivalent of €6.5m (Sierra 2006-2 - B2L, Pangaea 2007-1 - A, SkelligRock 2006-1 - C) and sold two USD tranches of CLOs for the equivalent of €1.8m (these two assets were valued for €1.5m as of the end of April)

At the end of May, Volta held €2.3m in cash excluding €0.3m received from margin calls in respect to its currency hedge positions and €2m committed for the settlement of the most recent purchase. Considering the pace at which cash flows are generated Volta has close to €1m available for investment at the end of May.

MARKET ENVIRONMENT
In May, credit spreads widened modestly in Europe and in the US. It reflected an increasing concern on the sustainability of G8 economic growth in a context of debt constraints. The spread of the 5y European iTraxx index and of the 5y iTraxx European Crossover Index (series 15) went, respectively, from 97 and 353 bps at the end of April to 103 and 370 bps at the end of May. During the same period, credit spreads in the US, as illustrated by the 5y CDX main index (series 16), went from 88 to 90 bps at the end of May 2011. According to the CSFB Leverage Loan Index, the average price for US liquid first lien loans modestly decreased from 95.92% to 95.63%.**

Overall, the tensions that appeared since March did not affect structured finance markets. After a small decrease in prices and in the number of transactions in March, structured finance markets returned to end of February levels or even higher. It confirms the renewed appetite from large institutional investors for this asset class for several quarters now.

VOLTA FINANCE PORTFOLIO
In May, no particular event materially affected the situation of the Corporate Credit holdings. However, it should be mentioned that the first-loss positions in Jazz III and ARIA III remain highly sensitive to any credit event that could occur. At the end of May, the average price of all the assets in this bucket (the first loss positions plus three other corporate credit positions (initially rated AAA and A tranches)) increased from an average price of 48.9% to 50.9%.

As regards the Company's investments in residual and mezzanine debt of CDOs, at the end of May, from a total of 52 positions in residual or mezzanine debt of CDOs, two of the residual positions (Carlyle IX and Northwoods VIII) are still unable to pay their coupon due to over collateralisation test breaches. The 50 other positions are currently paying. As previously announced, the latest debt tranche that was unable to pay at the end of April, the E tranche of Alpstar 2, paid in May all its delayed amounts and a portion of its capital thanks to a capital protection mechanism in place inside this CLO.

At the end of May the 39 mezzanine debt tranches of CDOs (37 tranches of CLOs, 1 tranche of Emerging Debt CDO and 1 tranche of CDO of ABS), totalling the equivalent of €97.7m of principal amount, were valued at an average price of 75% of par; the 12 classic residual tranches of CLOs, totalling the equivalent of €49.9m of principal amount, were valued at an average price of 62.2%; the rest of the bucket, one loan fund, for the equivalent of €11m of principal amount, was valued at 92% of par.

As regards the Company's ABS investments, in May, no particular event materially affected the six UK non-conforming residual holdings held by Volta. The latest report from Promise Mobility 2006-1 showed an increase in the number of credits that entered in work out process after several months during which the number of such negative transitions was below trend. It is yet too early to consider the impact of such news to the overall position. The company has no more investment in short-term euro ABS senior tranches.

The Company considers that opportunities could arise in several structured credit sectors in the current market environment. Amongst others, mezzanine tranches of CLOs and of European ABS or senior tranches of Corporate Credit portfolios could be considered for investments. Potential investments could be made depending on the pace at which market opportunities could be seized and cash is available. Thanks to the rally in prices that occurred in the previous months, the Company may be in a position to sell some assets at yields below Volta's target in order to reinvest the sale proceeds depending on market opportunities.

* "Mark-to-market variation" is calculated as the Dietz-performance of the assets in each bucket, taking into account the MtM of the assets at month-end, payments received from the assets over the period, and ignoring changes in cross currency rates Nevertheless, some residual currency effects could impact the aggregate value of the portfolio when aggregating each bucket.

** Index data source: Markit, Bloomberg.